The average spread between six-month Euribor and the overnight indexed swap rate, a gauge of banks’ reluctance to lend, widened to about 110 basis points in the 12 months ended Sept. 15, 2009, compared with an average gap of 68 basis points in the year-earlier period, data compiled by Bloomberg show. The spread between one-month Euribor and the overnight indexed swap rate widened to 48 basis points from 29 basis points in the same period. A basis point is 0.01 percentage point.

“The trading strategy, which was subject to the bank’s risk limits and used by many in the marketplace, was based on a legitimate market view that diversified and lowered the bank’s portfolio risk during the peak of the financial crisis,” Golden said.

Barclays Trader

Former Barclays euroswaps trader Philippe Moryoussef is under investigation by the U.S. Department of Justice, Commodity Futures Trading Commission, and Britain’s Financial Services Authority for colluding with counterparts at Deutsche Bank, Credit Agricole SA, Societe Generale SA and HSBC Holdings Plc to influence Euribor, a person familiar with the probe said. Moryoussef couldn’t be traced through the Internet or directory assistance.

Euribor is derived from a survey of banks asking how much it costs them to borrow from one another in euros for periods from overnight to one year. About 241 trillion euros of interest rate swaps are tied to three-month Euribor alone.

Like the London interbank offered rate, it’s based on estimates rather than actual trade data, leaving the rate vulnerable to manipulation. The 39 banks that contribute to the rate outnumber the 18 that help set dollar Libor, making it harder for individual traders to rig it.

Setting Rates

Bittar was also alleged to have had inappropriate communications with colleagues responsible for making the bank’s Euribor submissions, the people with knowledge of the firm’s internal processes said.

Bittar and Adolph, a yen derivatives trader who joined Deutsche Bank from Merrill Lynch & Co. in 2008, are the only two employees to be fired by the German lender over rate-rigging to date, the people said.

Adolph was dismissed in December 2011 for inappropriate communications with UBS AG’s Thomas Hayes, the people said. Adolph settled out of court with Deutsche Bank after the firm tried to withhold some of his stock awards that had already vested, according to two people with knowledge of the case.